Vista - Desktop Files on Server?

I have no idea what has happend but its become quite a problem.

A few days ago, I used remote desktop to connect to our server
(terminal services) and upon connecting I noticed all the icons/files
from my local machine's desktop were now on my desktop of the server.
I minimize the session to see that the icons/files that I had on the
server desktop are now on my local machine's desktop. As if they were
now mirrored.

Not thinking too much about it, I went back on the server and deleted
the files so that only my server desktop items remained. Upon logging
off and returning to my local machine I noticed now that my normal
desktop icons were gone from my local machine. I looked everywhere for
them but they were completely gone.

I have heard of sharing Printers and Drives with remote desktop, and
those settings can be turned on and off. But I do not see anything
about my desktop.

Specs:
Local Machine: Windows Vista Buisness
Server: Windows 2003 SBS R2
Group Policy: Desktop and My Documents stored on server